Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180060
Authors: 
Colonnello, Stefano
Curatola, Giuliano
Gioffré, Alessandro
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper 216
Abstract: 
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading off dividends against ethicalness. We show that when dividends and ethicalness are complementary goods and investors are sufficiently risk averse, the model predicts that the dividend share of sin companies exhibits a positive relation with the future return and volatility spreads. Our empirical analysis supports the model's predictions.
Subjects: 
Asset Pricing
General Equilibrium
Sin Stocks
JEL: 
D51
D91
E20
G12
Document Type: 
Working Paper
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